Geodesic
Bayesian analysis of structural change in a distributed Lag Model (Koyck Scheme)
Discussiones Mathematicae. Probability and Statistics, Tome 34 (2014) no. 1-2, pp. 113-126.

Voir la notice de l'article provenant de la source Library of Science

Structural change for the Koyck Distributed Lag Model is analyzed through the Bayesian approach. The posterior distribution of the break point is derived with the use of the normal-gamma prior density and the break point, ν, is estimated by the value that attains the Highest Posterior Probability (HPP). Simulation study is done using R.
Keywords: distributed lag model, posterior distribution, break point 
@article{DMPS_2014_34_1-2_a7,
     author = {Sumobay, Arvin and Supe, Arnulfo},
     title = {Bayesian analysis of structural change in a distributed {Lag} {Model} {(Koyck} {Scheme)}},
     journal = {Discussiones Mathematicae. Probability and Statistics},
     pages = {113--126},
     publisher = {mathdoc},
     volume = {34},
     number = {1-2},
     year = {2014},
     zbl = {1326.62018},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/DMPS_2014_34_1-2_a7/}
}
TY  - JOUR
AU  - Sumobay, Arvin
AU  - Supe, Arnulfo
TI  - Bayesian analysis of structural change in a distributed Lag Model (Koyck Scheme)
JO  - Discussiones Mathematicae. Probability and Statistics
PY  - 2014
SP  - 113
EP  - 126
VL  - 34
IS  - 1-2
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/DMPS_2014_34_1-2_a7/
LA  - en
ID  - DMPS_2014_34_1-2_a7
ER  - 
%0 Journal Article
%A Sumobay, Arvin
%A Supe, Arnulfo
%T Bayesian analysis of structural change in a distributed Lag Model (Koyck Scheme)
%J Discussiones Mathematicae. Probability and Statistics
%D 2014
%P 113-126
%V 34
%N 1-2
%I mathdoc
%U http://geodesic.mathdoc.fr/item/DMPS_2014_34_1-2_a7/
%G en
%F DMPS_2014_34_1-2_a7
Sumobay, Arvin; Supe, Arnulfo. Bayesian analysis of structural change in a distributed Lag Model (Koyck Scheme). Discussiones Mathematicae. Probability and Statistics, Tome 34 (2014) no. 1-2, pp. 113-126. http://geodesic.mathdoc.fr/item/DMPS_2014_34_1-2_a7/

[1] G. Casella and R. Berger, Statistical Inference, First Edition (Brookes/Cole Publishing Company, 1990).

[2] A. Chaturvedia and A. Shrivastavab, Bayesian Analysis of a Linear Model Involving Structural Changes in Either Regression Parameters or Disturbances Precision (Department of Statistics, University of Allahabad, Allahabad U.P 211002 India, 2012).

[3] L.M. Koyck, Distributed lags models and investment analysis (Amsterdam, North-Holland, 1954).

[4] J.H. Park, Bayesian Analysis of Structural Changes: Historical Changes in US Presidential Uses of Force (Annual Meeting of the Society for Political Methodology, 2007).

[5] A.P. Supe, Parameter changes in autoregressive processes: A Bayesian approach, Philippine Stat. J. 44-45 (1-8) (1996) 27-32.

[6] B. Western and M. Kleykamp, A Bayesian Change Point Model for Historical Time Series Analysis (Princeton University, 2004).